The first Europeans to have lived in what would become the neighborhood were the French, who came to extract Brazilwood. On July 16, 1565, the neighbourhood was named Gávea for the first time, by Estácio de Sá.

The Hipódromo da Gávea is a horse racing venue located in the neighborhood. Estádio da Gávea the home of CR Flamengo football club, despite being named after the neighborhood, is located in the Lagoa neighborhood. Gávea was the site of a street circuit that hosted Grand Prix racing in the 1930s and 1940s.